Dynamic persistence of primary commodity prices

Atanu Ghoshray

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half-life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy-makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.
Original languageEnglish
Pages (from-to)153-164
Number of pages12
JournalAmerican Journal of Agricultural Economics
Volume95
Issue number1
DOIs
Publication statusPublished - Jan 2013

Fingerprint

commodity prices
Shock
products and commodities
half life
exercise
Administrative Personnel
Half-Life
Exercise
Persistence
Commodity prices
Primary commodities
methodology

Cite this

Dynamic persistence of primary commodity prices. / Ghoshray, Atanu.

In: American Journal of Agricultural Economics, Vol. 95, No. 1, 01.2013, p. 153-164.

Research output: Contribution to journalArticle

Ghoshray, Atanu. / Dynamic persistence of primary commodity prices. In: American Journal of Agricultural Economics. 2013 ; Vol. 95, No. 1. pp. 153-164.
@article{ef49f49bcb574425afeb4d5755436ef2,
title = "Dynamic persistence of primary commodity prices",
abstract = "This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half-life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy-makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.",
author = "Atanu Ghoshray",
year = "2013",
month = "1",
doi = "10.1093/ajae/aas130",
language = "English",
volume = "95",
pages = "153--164",
journal = "American Journal of Agricultural Economics",
issn = "0002-9092",
publisher = "Oxford University Press",
number = "1",

}

TY - JOUR

T1 - Dynamic persistence of primary commodity prices

AU - Ghoshray, Atanu

PY - 2013/1

Y1 - 2013/1

N2 - This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half-life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy-makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.

AB - This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half-life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy-makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.

UR - http://www.scopus.com/inward/record.url?scp=84871787130&partnerID=8YFLogxK

UR - http://dx.doi.org/10.1093/ajae/aas130

U2 - 10.1093/ajae/aas130

DO - 10.1093/ajae/aas130

M3 - Article

VL - 95

SP - 153

EP - 164

JO - American Journal of Agricultural Economics

JF - American Journal of Agricultural Economics

SN - 0002-9092

IS - 1

ER -